Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0595 |
| Annualized Std Dev | 0.2460 |
| Annualized Sharpe (Rf=0%) | 0.2418 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1241 |
| Quartile 1 | -0.0072 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0084 |
| Maximum | 0.1406 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -0.0207 |
| Kurtosis | 6.5029 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.6072 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0358 |
| Modified VaR (95%) | -0.0232 |
| Modified ES (95%) | -0.0361 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2009-03-02 | 2013-12-27 | -0.6072 | 1412 | 196 | 1216 |
| 1999-05-10 | 2002-10-09 | 2004-11-04 | -0.4103 | 1382 | 860 | 522 |
| 2018-01-29 | 2020-03-23 | 2020-09-01 | -0.4016 | 654 | 541 | 113 |
| 2015-02-25 | 2016-01-25 | 2017-01-24 | -0.2843 | 483 | 231 | 252 |
| 2005-03-07 | 2005-10-13 | 2006-03-15 | -0.1798 | 259 | 155 | 104 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.8 | -1.2 | 1.1 | -1.2 | 4.3 | 1 | 0.1 | 1.3 | 0.5 | -1 | 0.3 | 1.9 | 8.1 |
| 2000 | 1.8 | -1 | -0.1 | -0.1 | 0.3 | -2.5 | 0.1 | -1 | 2.5 | -0.8 | 3.3 | -1.9 | 0.4 |
| 2001 | 0.5 | 0.1 | -0.8 | 1.1 | 0.8 | 0.4 | -0.5 | 0.9 | 0.3 | 2.2 | 1.3 | -1.2 | 5.2 |
| 2002 | -0.5 | 1.5 | -0.5 | 0.1 | 0.6 | -0.6 | -0.6 | 1.1 | 6.2 | 2.1 | 2.2 | 0.4 | 12.5 |
| 2003 | 1.1 | 0.2 | 1.1 | -0.7 | 1.5 | -0.2 | -1 | 0.1 | 1.7 | -0.2 | 3 | -0.2 | 6.5 |
| 2004 | 1.2 | 1.6 | 0.7 | -0.6 | -0.2 | -2 | -0.2 | 0.4 | 0.5 | 0.1 | 0.9 | -0.2 | 2.3 |
| 2005 | 0.8 | 0.1 | -0.3 | 2.5 | 1.5 | -0.1 | -0.5 | 0.3 | 0.8 | 0.3 | 2 | -0.9 | 6.7 |
| 2006 | 0.3 | 1.5 | -0.9 | 0.7 | 1.1 | 0.5 | -0.8 | 1.1 | -0.9 | -0.8 | -0.8 | -0.8 | 0.1 |
| 2007 | 1.2 | -1 | 0.2 | -0.4 | 1.4 | 0.6 | 0.6 | 0.9 | 1.9 | -3.5 | 0.9 | -0.6 | 2.1 |
| 2008 | 2.4 | -3.2 | 3.2 | -0.7 | 0.1 | -1.8 | -1.8 | -0.7 | -1.6 | 1.1 | -8.5 | 1.7 | -9.8 |
| 2009 | -3.9 | -1 | 2 | 0.2 | 3.1 | 0.2 | 1 | -3 | -3.9 | -3.6 | 1.9 | -1.4 | -8.3 |
| 2010 | 4 | 1.5 | 1.7 | -1.8 | -3.2 | -0.6 | 0.6 | 3 | 1.3 | -0.1 | 2.7 | -0.1 | 9.4 |
| 2011 | 2.7 | -2.5 | 0.4 | 0.4 | -3.1 | 0.9 | -0.3 | -1.4 | -3.7 | -2.7 | -0.6 | -0.1 | -9.7 |
| 2012 | 1 | 1.1 | 0.4 | 0.6 | -2.1 | 3 | 0 | 1 | 0.3 | 1.9 | 0.1 | 2 | 9.5 |
| 2013 | 1.2 | 0.1 | -0.9 | -1.8 | -1.6 | 0.6 | 0.7 | -0.2 | 0.4 | -0.2 | -0.1 | 0.3 | -1.3 |
| 2014 | -0.7 | 0.3 | 0.5 | -0.6 | 0 | 0.2 | 0.1 | 0.2 | -2.4 | 1.9 | -1 | -1 | -2.5 |
| 2015 | -0.4 | -0.2 | 0.3 | 1.6 | 0 | 0.6 | -0.3 | -3 | 1.1 | 0.1 | 0.7 | -0.9 | -0.4 |
| 2016 | 0.4 | 2.6 | 1 | -0.6 | 0.1 | 0 | -0.6 | 0.4 | 0.7 | -0.6 | 0 | -0.7 | 2.9 |
| 2017 | 0.5 | 2 | 0 | 0.1 | 1.2 | 0.5 | 0.1 | 0.7 | 0 | 0.5 | -0.8 | -0.2 | 4.5 |
| 2018 | -1.4 | -1 | 1.9 | -0.1 | 1.5 | 0.3 | -1 | -0.3 | 1 | 2.8 | 0.3 | 0.8 | 4.9 |
| 2019 | 0.3 | -0.1 | 1.5 | -1.8 | -1.1 | 0.8 | -0.6 | 0.7 | -2.4 | 1.4 | -0.4 | 0.7 | -1 |
| 2020 | -2.2 | -1.1 | -4.5 | -2.1 | 0.7 | 0.2 | 0.1 | 2.8 | -1.4 | -0.1 | 1.1 | 0.4 | -6.1 |
| 2021 | 1.2 | 2.5 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
